A partition of unity finite element method for valuation American option under Black-Scholes model

DOI10.2478/MJPAA-2021-0021MaRDI QIDQ6491251

Zaineb El kharrazi, Sahar Saoud, Mustapha Malek, Nouh Izem

Publication date: 24 April 2024

Published in: Moroccan Journal of Pure and Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

finite element methodAmerican optionBlack-Scholesenriched finite element method

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Financial applications of other theories (91G80) Finite element, Galerkin and related methods applied to problems in thermodynamics and heat transfer (80M10)

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